A Nonparametric Prewhitened Covariance Estimator

DOI10.1111/1467-9892.00263MaRDI QIDQ4677004zbMATH OpenOpenAlexFDO

Authors Zhijie Xiao, Oliver Linton

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00263

zbMATH Keywords

spectral densitiesmultivariate time series modelsnonparametric prewhitened covariance estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• A multiplicative bias reduction method for nonparametric regression

Cited in

(9)

• Prewhitened long-run variance estimation robust to nonstationarity
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
• NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
• A Modified Nonparametric Prewhitened Covariance Estimator
• The block-block bootstrap for time series
• scientific article; zbMATH DE number 4185514 (Why is no real title available?)
• Non-parametric confidence intervals for covariance and correlation
• Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval

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